Romarco Minerals Inc

Emerging Gold producer - South Carolina, Nevada & Mexico

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thebluenote

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OT: Is The HFT Scourge Ending?

posted on Oct 20, 2013 04:35PM

Is The HFT Scourge Ending?

10/18/2013

Whether it is due to the recent margin hikes, a dwindling of greater fools, more scrutiny (albeit weak) by the regulators, increased free-money competition, or the monopolization of bandwidth; it would appear, from the following charts from Nanex, that we have seen Peak HFT. Quote Spam (the number of quotes per actual trade) has dropped to a 3 year low today.

Via Nanex,

On October 18, 2013, Quote/Trade ratios dropped to 3 year lows. Charts below chronicle the average number of quotes per trade for each 5 minute period of the regular trading session (9:30 to 16:00 ET) for all ~8000 NMS Stocks from 2007 to October 18, 2013 (through 10:45 ET). Each day is color coded by age - older dates start with purple while more recent dates are colored red.. The horizontal red line is in the future (after 10:30 ET on October 18, 2013).

Quotes per $10,000 Traded (accounts for trade size drop and changes in stock price)...